Vhayu Launches Velocity Fixed Income

Tick processing software vendor Vhayu will this week announce the launch of a version of its Velocity real-time tick capture and analysis engine for fixed-income markets, officials tell Inside Market Data.

Four major brokers in New York, Chicago, London and Paris have deployed custom versions of the system, developed for them last year by the vendor, says John Coulter, vice president of marketing and business development at Vhayu.

The main challenge of adapting Velocity—which is predominantly used as a component of algorithmic equity trading infrastructures—for fixed income was identifying and normalizing the different proprietary data sets used by firms to identify over-the-counter fixed-income instruments, Coulter says.

"We had to come up with a generic form of record identification… that still allows Velocity to perform as quickly as it does for equities," he says. To give an idea of the scale of the task, he says that whereas there may be 50,000 unique equity intruments in existence, there are more than 750,000 fixed-income securities that require mapping.

The system also had to cover futures, swaps, foreign exchange and synthetic instruments as well as bonds, so Vhayu incorporated a calendar function to handle time factors such as maturities and expiries. The vendor also needed to incorporate reference data to provide details of factors such as coupon rates and maturities, Coulter says.

Velocity now supports fixed income data from Icap's BrokerTec and EBS platforms, Thomson TradeWeb, eSpeed and Reuters as well as MTS's bond markets, and includes a feed handler development kit that firms can use to capture data from proprietary sources or other third parties.

Coulter says the vendor is seeing particularly strong demand for the system from the UK and Europe to meet the best-execution requirements of the European Union's MiFID regulation, and will have to hire more salespeople and field consultants in its London office to meet expected demand. "Data management for MiFID is going to be a huge challenge," he says.

In the US market he says demand is still heavily focused on high-frequency equities trading, but expects demand for the fixed-income version to grow as fixed-income instruments become more heavily traded electronically and as hedge funds pursue arbitrage strategies between equities and other asset classes.